Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Above Average
- Market Leading Stocks: Performing In Line
Equity Investor Angst:
- Volatility(VIX) 10.08 -1.95%
- Euro/Yen Carry Return Index 136.42 -.39%
- Emerging Markets Currency Volatility(VXY) 7.63 -.26%
- S&P 500 Implied Correlation 29.01 +5.54%
- ISE Sentiment Index n/a
- Total Put/Call .98 +1.03%
- NYSE Arms 1.07 +9.71%
Credit Investor Angst:
- North American Investment Grade CDS Index 57.12 +1.5%
- America Energy Sector High-Yield CDS Index 430.0 -1.37%
- European Financial Sector CDS Index 50.20 +.32%
- Western Europe Sovereign Debt CDS Index 5.46 -.55%
- Asia Pacific Sovereign Debt CDS Index 18.72 +.03%
- Emerging Market CDS Index 185.58 -.99%
- iBoxx Offshore RMB China Corporate High Yield Index 140.64 +.04%
- 2-Year Swap Spread 24.5 +.25 basis point
- TED Spread 24.25 +1.25 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -25.25 +1.5 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 73.94 -.05%
- 3-Month T-Bill Yield 1.07% unch.
- Yield Curve 90.0 unch.
- China Import Iron Ore Spot $72.93/Metric Tonne +.87%
- Citi US Economic Surprise Index -44.10 +1.5 points
- Citi Eurozone Economic Surprise Index 17.10 +1.2 basis points
- Citi Emerging Markets Economic Surprise Index 18.90 +.1 basis point
- 10-Year TIPS Spread 1.78 -1.0 basis point
- 17.6% chance of Fed rate hike at Nov. 1 meeting, 43.8% chance at Dec. 13 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -39 open in Japan
- China A50 Futures: Indicating +39 open in China
- DAX Futures: Indicating +2 open in Germany
Portfolio:
- Slightly Higher: On gains in my tech/medical sector longs
- Disclosed Trades: Covered some of my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 100% Net Long
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